期刊
ECONOMICS LETTERS
卷 204, 期 -, 页码 -出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2021.109891
关键词
Interest rate swaps; Monetary policy transmission mechanism; Quantile vector autoregression
类别
资金
- BMK
- BMDW
- Province of Upper Austria
This study investigates 1-year interest rate swaps on USD, EUR, JPY, and GBP between 2005 and 2020 using a quantile connectedness model to understand the monetary policy transmission mechanism in the international financial system. Interest rate changes significantly impact financial market connectedness, and different currencies may drive developments based on the direction of interest rate changes.
We investigate 1-year interest rate swaps on USD, EUR, JPY and GBP between 2005 and 2020 utilising a quantile connectedness model. This approach allows for a nuanced investigation of connectedness and adds to understanding the monetary policy transmission mechanism within a highly integrated international financial system. Substantial interest rate changes (in either direction) matter for connectedness in financial markets. The results also indicate which currency drives developments depending on the direction of the change in interest rates. The full implementation and replication code - based on R, is available at: https://github.com/GabauerDavid/ConnectednessApproach. (C) 2021 Elsevier B.V. All rights reserved.
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